Friday, February 26, 2010

The Three-, Six- and Twelve-Month Eurodollar LIBOR Rates Waned On The Week

The three-, six- and twelve-month Eurodollar LIBOR rates waned on the week, while the 1-month rate held steady. On the day, the 3- and 12-month rates fixed lower, while the 1- and 6-month rates were unchanged. The 3-month TED spread contracted on the week but expanded on the day.

Image courtesy: The Wall Street Journal OnlineRight now, the yield on the 3-month U.S. Treasury Bill is 0.115%. Therefore, the 3-month TED spread is currently 0.13669 percentage point; it was 0.13194 yesterday, 0.15694 last Friday and 4.60875 on October 10, 2008 during the peak of the global banking crisis.

For the 3-month TED spread, a figure between zero and 0.50 percentage point (0.50 percentage point = 50 basis points) is a strong indication that large, international banks are lending money to each other with confidence.

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